| 研究実績の概要 |
The main result for this period is the acceptance for publication of my preprint "Estimation for high-frequency data under parametric market microstructure noise" by the Annals of the Institute of Statistical Mathematics [1]. The original approach using LASSO estimation was replaced by a more direct plug-in method for this project. The final paper is now solid and yields theoretically strong results.
I did not attend any conference due to the coronavirus pandemic.
[1] Estimation for high-frequency data under parametric market microstructure noise, Annals of the Institute of Statistical Mathematics, To appear.
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